Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0063
Annualized Std Dev 0.1471
Annualized Sharpe (Rf=0%) 0.0429

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1145
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1342
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0093
Skewness -0.2190
Kurtosis 27.9021

Downside Risk

Close
Semi Deviation 0.0067
Gain Deviation 0.0071
Loss Deviation 0.0077
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0067
Downside Deviation (0%) 0.0067
Maximum Drawdown 0.3942
Historical VaR (95%) -0.0124
Historical ES (95%) -0.0218
Modified VaR (95%) -0.0105
Modified ES (95%) -0.0105
From Trough To Depth Length To Trough Recovery
2012-11-27 2020-03-18 NA -0.3942 2093 1839 NA
2004-03-09 2008-10-10 2009-09-02 -0.3750 1383 1158 225
1999-01-08 1999-12-27 2004-01-07 -0.2088 1256 244 1012
2010-09-13 2011-01-14 2011-11-11 -0.1532 297 88 209
2012-02-10 2012-03-16 2012-05-09 -0.0993 62 25 37

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.7 1.2 0 0.6 0 0 -0.6 -0.6 0.6 1.3 0.7 0.7 2.2
2000 0 0 0.7 0 0 0 1.3 0 0.6 0.6 0 0.6 3.9
2001 -0.7 0.3 0.4 0.1 0.3 0.3 0.7 0.5 0.8 0.9 -0.2 1.7 5
2002 0.3 0 0.1 0.5 0.5 0.1 0.7 -0.1 0.2 -0.3 -0.4 0.2 1.8
2003 -0.1 0.6 -0.7 0.5 0.8 -0.6 -1 0.5 0.9 1.1 -0.8 0.4 1.6
2004 2.8 -0.4 -0.3 1.2 -1 0.2 0.7 -0.4 -0.6 0 0.6 0.4 3.3
2005 -0.7 0.5 0.7 0.5 1 -0.4 0.2 0.1 0.4 0 -0.2 0.2 2.3
2006 0 0.1 0.8 -1.3 0.4 0 0.3 0.1 0.3 0 -0.2 -0.5 -0.1
2007 0.2 0 0.1 0.1 -0.4 0.8 -0.5 0 -0.1 -0.3 -0.2 1.5 1.2
2008 -0.1 -1.7 -0.2 -0.1 0.4 0.5 0.3 0.4 2.6 -3.4 -4.5 -2.8 -8.5
2009 -0.1 -1.8 1.2 0.7 -0.4 0 -0.1 0.8 0.4 1.2 -0.5 -0.5 1
2010 0.2 -0.5 -0.2 -0.5 -0.8 -0.2 1.1 -0.3 0.3 -0.2 -1.1 2.1 0
2011 1.4 -1.2 0.2 1.4 0 -0.5 1.1 -1.2 1.2 0.1 0 0.8 3.3
2012 1.1 0.7 0.4 -0.4 0.8 -0.3 -1.3 0.3 0.3 0.7 0.2 0.6 3.1
2013 -0.7 -0.3 0 0 -2.2 1.1 -1.4 0.3 -0.2 0.9 0 0.8 -1.6
2014 0 -0.2 -0.5 0.7 -0.4 0.2 0.3 0.1 0.1 -0.7 -0.1 0.4 0.1
2015 0.6 0.7 -0.1 -1.1 0.2 0.6 -0.2 -0.1 0.4 -0.5 0.7 0 1.2
2016 0.1 0 0 -0.9 0.3 0.9 -0.6 0.3 -0.2 1.3 -0.9 -0.1 0.3
2017 -0.4 -0.4 -0.1 -0.1 0.2 -0.1 0.7 0.6 -0.3 0.1 1 -0.4 0.9
2018 -0.5 0.2 0.9 0 -0.1 0.2 -0.1 0.2 0 0.4 -1.5 -5.4 -5.6
2019 0.8 -0.7 0.7 0.4 0.5 -0.3 0.8 -0.6 0.1 -0.4 -0.1 -0.1 1
2020 -0.1 -2.9 -4 -0.3 0.7 0.2 0.3 0.3 0.1 0.2 0.6 0.5 -4.5
2021 0.1 0.2 0 NA NA NA NA NA NA NA NA NA 0.2

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart